'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

Using this definition on our asset we see for example:- The total return, or increase in value over 5 years of iShares 10-20 Year Treasury Bond ETF is 24.1%, which is smaller, thus worse compared to the benchmark SPY (77.1%) in the same period.
- Looking at total return, or increase in value in of 21% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (51.7%).

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

Which means for our asset as example:- Compared with the benchmark SPY (12.1%) in the period of the last 5 years, the annual performance (CAGR) of 4.4% of iShares 10-20 Year Treasury Bond ETF is lower, thus worse.
- During the last 3 years, the annual performance (CAGR) is 6.6%, which is smaller, thus worse than the value of 14.9% from the benchmark.

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

Which means for our asset as example:- The 30 days standard deviation over 5 years of iShares 10-20 Year Treasury Bond ETF is 7%, which is lower, thus better compared to the benchmark SPY (13.3%) in the same period.
- Looking at 30 days standard deviation in of 6.7% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (13%).

'Risk measures typically quantify the downside risk, whereas the standard deviation (an example of a deviation risk measure) measures both the upside and downside risk. Specifically, downside risk in our definition is the semi-deviation, that is the standard deviation of all negative returns.'

Applying this definition to our asset in some examples:- The downside volatility over 5 years of iShares 10-20 Year Treasury Bond ETF is 4.9%, which is lower, thus better compared to the benchmark SPY (9.6%) in the same period.
- Looking at downside deviation in of 4.5% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (9.4%).

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

Applying this definition to our asset in some examples:- The risk / return profile (Sharpe) over 5 years of iShares 10-20 Year Treasury Bond ETF is 0.27, which is lower, thus worse compared to the benchmark SPY (0.72) in the same period.
- Compared with SPY (0.96) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.61 is smaller, thus worse.

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

Which means for our asset as example:- Compared with the benchmark SPY (1) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.39 of iShares 10-20 Year Treasury Bond ETF is lower, thus worse.
- Looking at ratio of annual return and downside deviation in of 0.9 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.32).

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

Which means for our asset as example:- Compared with the benchmark SPY (3.97 ) in the period of the last 5 years, the Ulcer Ratio of 5.86 of iShares 10-20 Year Treasury Bond ETF is larger, thus worse.
- Looking at Downside risk index in of 3.67 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (4.1 ).

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

Which means for our asset as example:- Looking at the maximum drop from peak to valley of -11.6 days in the last 5 years of iShares 10-20 Year Treasury Bond ETF, we see it is relatively higher, thus better in comparison to the benchmark SPY (-19.3 days)
- During the last 3 years, the maximum DrawDown is -8 days, which is greater, thus better than the value of -19.3 days from the benchmark.

'The Maximum Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

Using this definition on our asset we see for example:- Looking at the maximum days below previous high of 725 days in the last 5 years of iShares 10-20 Year Treasury Bond ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (187 days)
- Compared with SPY (139 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 385 days is higher, thus worse.

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Avg Drawdown Duration is the average amount of time an investment has seen between peaks (equity highs), or in other terms the average of time under water of all drawdowns. So in contrast to the Maximum duration it does not measure only one drawdown event but calculates the average of all.'

Applying this definition to our asset in some examples:- Looking at the average days below previous high of 233 days in the last 5 years of iShares 10-20 Year Treasury Bond ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (42 days)
- During the last 3 years, the average days below previous high is 117 days, which is greater, thus worse than the value of 37 days from the benchmark.

Historical returns have been extended using synthetic data.
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- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of iShares 10-20 Year Treasury Bond ETF are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.